Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0098
Annualized Std Dev 0.0870
Annualized Sharpe (Rf=0%) 0.1126

Row

Daily Return Statistics

Close
Observations 3386.0000
NAs 1.0000
Minimum -0.0531
Quartile 1 -0.0028
Median 0.0002
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0030
Maximum 0.0336
SE Mean 0.0001
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0055
Skewness -0.3905
Kurtosis 7.3701

Downside Risk

Close
Semi Deviation 0.0040
Gain Deviation 0.0037
Loss Deviation 0.0040
Downside Deviation (MAR=210%) 0.0098
Downside Deviation (Rf=0%) 0.0039
Downside Deviation (0%) 0.0039
Maximum Drawdown 0.2017
Historical VaR (95%) -0.0084
Historical ES (95%) -0.0125
Modified VaR (95%) -0.0087
Modified ES (95%) -0.0166
From Trough To Depth Length To Trough Recovery
2011-08-24 2015-11-09 NA -0.2017 2409 1060 NA
2008-03-17 2008-10-10 2009-10-08 -0.1835 396 146 250
2009-12-02 2010-06-07 2010-10-05 -0.1378 212 128 84
2010-11-05 2011-01-07 2011-04-28 -0.0890 120 44 76
2007-11-27 2007-12-17 2008-02-27 -0.0472 63 15 48

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA NA -0.2 -0.8 0.7 -0.2
2008 0.3 0.8 -1.3 -1.4 0.3 -0.1 -0.3 -0.4 0.1 -0.6 0.1 -0.7 -3.3
2009 -1.2 -0.5 0.2 0.6 0 0.5 2.1 -0.9 -0.5 0.1 0.6 0.1 0.9
2010 -0.1 -0.6 0 0.9 0.5 1 0.4 -0.3 0.4 -0.2 0.2 0.9 3
2011 0.7 -0.1 0 0.4 -0.4 -0.1 -0.7 -0.5 -0.8 -1.2 -0.3 0.3 -2.8
2012 0.7 0 0.3 -0.2 0.5 1.2 -0.6 0.5 -0.2 -0.4 0 -0.2 1.5
2013 -0.5 -0.7 0 0.1 -0.3 0.1 -1.2 0 0.2 -0.9 0 0 -3.2
2014 0.1 0.4 -0.2 0.1 -0.1 -0.1 0.2 -0.3 0.2 -0.8 0.3 -0.4 -0.7
2015 0.4 0.1 0.3 -0.6 -0.9 -0.7 0.6 0.9 0.5 0.5 0.5 -0.1 1.6
2016 0.3 -0.1 0.1 0.9 0.4 0.6 -0.4 0.3 -0.3 0.4 0.4 0.2 2.6
2017 -0.2 -1 0.3 0 0 -0.2 0.1 -0.5 0 -0.3 0.5 0.4 -1
2018 0.1 0.2 0.4 -0.8 -0.4 0.5 -0.6 -0.4 -0.4 0.6 -0.1 0.3 -0.5
2019 -0.1 -0.3 -0.4 -0.1 0.5 -0.7 0.3 -0.6 -0.3 0.1 -0.1 0.4 -1.4
2020 0.4 0.9 -0.9 0 0 -0.3 -0.7 0 0.2 0 0.1 -0.2 -0.4
2021 -0.7 0.3 0.3 NA NA NA NA NA NA NA NA NA -0.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-10-05  26.0 SPY    156.  0.0119    0.0214   0.0521   0.0186    0.155    0.368    0.894 GLD    73.4  0.0073  -0.0015
2 2007-10-08  26.2 SPY    155. -0.0053    0.0047   0.0613   0.0272    0.147    0.352    0.919 GLD    72.5 -0.0119  -0.0185
3 2007-10-09  26.1 SPY    156.  0.0094    0.0155   0.0733   0.0295    0.159    0.379    0.978 GLD    73.1  0.0077   0.0102
4 2007-10-10  26.2 SPY    156. -0.0017    0.0159   0.0592   0.0119    0.156    0.388    0.944 GLD    73.4  0.0037   0.0203
5 2007-10-11  26.0 SPY    155. -0.00480   0.0094   0.0514   0.004     0.149    0.376    0.991 GLD    73.9  0.0075   0.0143
6 2007-10-12  25.9 SPY    156.  0.0055    0.0031   0.0498   0.0097    0.157    0.389    0.939 GLD    74.6  0.0092   0.0162
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart